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Details

  • Service: Audit
  • Industry: Financial Services
  • Type: Survey report
  • Date: 8/31/2012

Multi-Curve Valuation Approaches and their Application to Hedge Accounting 

The application of multi-curve valuation models to accommodate the change in derivative valuation on hedge accounting is analyzed and economic consistent IAS 39 compliant hedge accounting models are derived.

Multi-Curve Valuation Approaches
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